Well maybe okay if you're hot and he promise to give me a reach around. The model achieves perfect calibration even at very short-term maturities jointly calibrating to the s&p 500 and the VIX and it's the only model that can do so with continuous sample paths and it was previously conjectured to be utterly impossible to have such a model prior to 2019. A model is only as good as what you do with it this doesn't tell you what decisions to make so I don't know what sort of performance you would be asking for but as far as stochastic volatility mode goes this model achieves the most perfect fit with the fewest number of perimeters possible and therefore achieves the distinction of being the best model The later reference papers the authors gave up like dumbasses in you some " deep learning neural net craft that s***'s just some sort of trendy black box thing they don't really know what they're doing those academics because they don't actually trade. I of course did not find these black box solutions satisfying for good reason it turns out that orthogonal polynomials are the most mathematically elegant and computationally efficient way to do it so one boggles why these academics chose such crappy methods of solution in the first place most likely because it was due to their familiarity with that existing method of solution and they were just trying to achieve the goal of getting them there PhD paper published or whatever assembly line type of thing that goes on in academia
Expansion of The Characteristic Function of Yt = a(Xt + b)2 + c Where Only Xt's Characteristic Known
- Thread starter steve42
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That's kind of funny coming from a chump like you it sounds like Babel given that your monkey and can't comprehend it but what I said earlier about my returns is true and with this added to my arsenal I expect the double that performance. it does no good to talk rocket science with pigs and goats and old zen saying My mistake was giving you the benefit of the doubt .Ivory tower of babble. Markets throw their doors wiiiide open for such.
C ya.
If if you weren't such an abject failure and waste of oxygen you would be knowledgeable enough to know that what I gave you is a recipe to create very non-trivial thing of great value but I given that I'm talking to someone who has never engineered or created anything of value in his life soIvory tower of babble. Markets throw their doors wiiiide open for such.
C ya.
Suntrader provides very little to this forum. I would ignore him.
Glad to hear your math models are working for you.
Thank you I appreciate it it's been a long time coming building this one I had the Monte Carlo version of it coded up a couple of years ago but that is not really sufficient to use for pricing or trading or hedging or anything because it's just way too slow and then I implemented the model with floating point 64 bit arithmetic standard on the CPU and lo and behold it was insufficient in numerical errors messed everything up so I had to create a Java wrapper for arbitrary precision real and complex precision arithmetic library called arblib and it finally dawned on me well this is just going to make for a heck of a coincidence a story whenever I get to the point of writing all this up but the polynomials method of solution used for solving the Riicatti equations is very much related to the orthogonal polynomials I found related to the Bessel functions and the Hardy z function and thus he Riemann zeta function. A very large number of sequences of orthogonal polynomial functions are actually Jacobi polynomials with specific parameters so it's really cool that I can use that part of the code for completely different things that I didn't anticipate ahead of time
newwurldnm provides very little to this forum. In your case I would follow him.
Hermite Polynomials and Gaussian Curves: Breaking It Down for the Street-Smart Trader
Picture this: The market has rhythms, much like the ebb and flow of the ocean. Sometimes, these rhythms form patterns that are as predictable as the tide coming in. One such pattern is reminiscent of a hill – starts low, peaks in the middle, then dips down again.
Now, let's shift gears for a moment. If you've ever watched a craftsman, be it a carpenter or a mechanic, you've seen them use specific tools for specific tasks. You wouldn't use a hammer where a wrench is needed.
In the world of mathematics, Hermite polynomials are the specialized wrenches when dealing with these hill-like patterns. They're the optimal tools to break down, analyze, and understand these particular rhythms.
Why? Well, without diving deep into the 'ivory tower' jargon, let's just say they're designed to understand every nuance of that hill, much like a seasoned trader can sense a market shift before it happens.
So, the next time you come across that familiar market hill, remember: there's a set of tools, tried and true, waiting in the wings to help decode it. And just because they come from a realm of higher math doesn't mean they're out of reach for the traders on the ground. It's all about having the right tool for the job.
Picture this: The market has rhythms, much like the ebb and flow of the ocean. Sometimes, these rhythms form patterns that are as predictable as the tide coming in. One such pattern is reminiscent of a hill – starts low, peaks in the middle, then dips down again.
Now, let's shift gears for a moment. If you've ever watched a craftsman, be it a carpenter or a mechanic, you've seen them use specific tools for specific tasks. You wouldn't use a hammer where a wrench is needed.
In the world of mathematics, Hermite polynomials are the specialized wrenches when dealing with these hill-like patterns. They're the optimal tools to break down, analyze, and understand these particular rhythms.
Why? Well, without diving deep into the 'ivory tower' jargon, let's just say they're designed to understand every nuance of that hill, much like a seasoned trader can sense a market shift before it happens.
So, the next time you come across that familiar market hill, remember: there's a set of tools, tried and true, waiting in the wings to help decode it. And just because they come from a realm of higher math doesn't mean they're out of reach for the traders on the ground. It's all about having the right tool for the job.
Not exactly low hanging fruit.